International Review of Financial Analysis · 2023 · 14 citations · 43 references
BusinessCorporate GovernanceFinanceCorporate FinanceCorporate Social ResponsibilityFinancial EconomicsCapital MarketsCorporate SustainabilityCorporate Sustainability DisclosureEsg ReportingInvestmentSustainability ReportingCorporate Sustainability MetricsParallel Trends AssumptionStock Return PerformanceSustainability Performance Indexes
A firm’s inclusion on the Dow Jones Sustainability Index (DJSI) signals its leadership in Environmental, Social, and Governance (ESG). We studied the effects of DJSI inclusion using data through 2021. For additions, we found significant positive pre-announcement effects, as well as persistence of positive abnormal returns. On deletions, we also saw positive abnormal returns, although significance reduced in later years. Our analysis demonstrated a stronger information role of DJSI inclusion for non-S&P 500 firms, which suggests that the DJSI is relatively more important for firms with lower investor recognition. We used a generalised synthetic control approach to estimate our results, which responds to the parallel trends critique of stock return event studies and provides robustness to industry shocks that are so important to ESG applications. Thus, this paper represents an important extension to our understanding of the value relevance of DJSI membership.
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations
Event Studies in Economics and Finance
A. Craig MacKinlay · Journal of Economic Literature · 1997 · 4.5K citations